منابع مشابه
Downside Correlation and Expected Stock Returns
If investors are more averse to the risk of losses on the downside than of gains on the upside, investors ought to demand greater compensation for holding stocks with greater downside risk. Downside correlations better capture the asymmetric nature of risk than downside betas, since conditional betas exhibit little asymmetry across falling and rising markets. We find that stocks with high downs...
متن کاملOptimal Investment in a Defaultable Bond
The present paper analyzes the optimal investment strategy in a defaultable (corporate) bond and a money market account in a continuous time model. Due to jumps in the bond price our market model is incomplete. The treatment of information on the firm’s asset value is based on an approach unifying the structural model and the reduced-form model. Specifically, the asset value will be assumed to ...
متن کاملBond Supply and Excess Bond Returns
We examine empirically how the supply and maturity structure of government debt affect bond yields and expected returns. We organize our investigation around a term-structure model in which risk-averse arbitrageurs absorb shocks to the demand and supply for bonds of different maturities. These shocks affect the term structure because they alter the price of duration risk. Consistent with the mo...
متن کاملEstimation and decomposition of downside risk for portfolios with non-normal returns
We propose a new estimator for expected shortfall that uses asymptotic expansions to account for the asymmetry and heavy tails in financial returns. We provide all the necessary formulas for decomposing estimators of value-at-risk and expected shortfall based on asymptotic expansions and show that this new methodology is very useful for analyzing and predicting the risk properties of portfolios...
متن کاملLiquidity risk and expected corporate bond returns ¬リニ
This paper studies the pricing of liquidity risk in the cross section of corporate bonds for the period from January 1994 to March 2009. The average return on bonds with high sensitivities to aggregate liquidity exceeds that for bonds with low sensitivities by about 4% annually. The positive relation between expected corporate bond returns and liquidity beta is robust to the effects of default ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Management Science and Engineering
سال: 2021
ISSN: 2096-2320
DOI: 10.1016/j.jmse.2021.02.006